Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0309
Annualized Std Dev 0.3324
Annualized Sharpe (Rf=0%) 0.0929

Row

Daily Return Statistics

Close
Observations 3488.0000
NAs 1.0000
Minimum -0.1998
Quartile 1 -0.0088
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0104
Maximum 0.1675
SE Mean 0.0004
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0010
Variance 0.0004
Stdev 0.0209
Skewness -0.7191
Kurtosis 8.0187

Downside Risk

Close
Semi Deviation 0.0156
Gain Deviation 0.0138
Loss Deviation 0.0169
Downside Deviation (MAR=210%) 0.0198
Downside Deviation (Rf=0%) 0.0154
Downside Deviation (0%) 0.0154
Maximum Drawdown 0.7972
Historical VaR (95%) -0.0326
Historical ES (95%) -0.0516
Modified VaR (95%) -0.0348
Modified ES (95%) -0.0753
From Trough To Depth Length To Trough Recovery
2011-04-29 2020-03-18 NA -0.7972 2403 2149 NA
2008-03-06 2008-10-27 2010-09-29 -0.5741 648 164 484
2007-02-27 2007-08-21 2007-11-06 -0.2151 177 123 54
2011-01-03 2011-01-25 2011-02-17 -0.1378 33 16 17
2007-11-12 2007-12-17 2008-01-10 -0.1375 41 25 16

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 0.7 -4 1 -1.3 1.7 -0.9 0.2 2.5 -0.5 -2.5 -1.6 0 -4.7
2008 -0.8 -0.1 -3 -3.5 1.7 4 -1.5 -1 4.9 -1 -10.9 4.6 -7.5
2009 2.3 -0.4 0.3 0.8 -0.6 1.3 3.5 0.8 -1.8 -2 3.6 0.2 8.1
2010 3.1 -0.2 2.5 0.8 0 -4.5 2.1 0.2 1.5 -0.3 1.3 1.3 7.9
2011 1.8 2.3 0.3 -0.7 -4.9 -2.5 -1.5 0 -3.5 -3.2 -0.4 -0.8 -12.6
2012 1.6 2.6 0.5 -0.4 2.3 4.1 -2 4.4 0.5 -0.1 -2.3 1.2 13
2013 1.3 0 -1.3 -2.7 -2.6 0.5 -0.8 -1.8 -2.4 -0.1 1.7 -0.9 -8.7
2014 -0.1 -0.3 -0.3 -0.8 -1 0 -0.6 -0.4 1.1 -2.3 7.1 -3.7 -1.7
2015 1.9 0 2.2 -0.1 0.4 -0.7 0.1 -0.2 0.1 -0.1 0.8 -1 3.4
2016 1 0.6 -4.2 1.8 -0.8 5 0.4 1 0.5 2.5 -0.1 -1.5 6
2017 -0.2 0.4 -0.4 -1.9 -0.6 -0.1 -0.8 1 -1.2 1.2 -0.3 0.7 -2.4
2018 0.5 1 0.4 -1.1 -0.9 -2 0.4 -0.3 -1.2 2.6 -1.1 0.5 -1.1
2019 -0.9 -2.9 -0.1 -2 0.6 -1 0.7 0.5 1.4 0 0.3 -0.3 -3.8
2020 0.7 -5.8 -0.7 -0.5 2.1 -1.3 4.3 -0.4 2.1 1.1 6.3 -0.6 6.9
2021 8 0.1 0.9 NA NA NA NA NA NA NA NA NA 9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart